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Making g2++ discrete
Hi AllReally having trouble making the expected value of the g2++ model under the forward measure discrete. The formula is the one stated at the top of page 155 in Brigo & Mercurio. I am trying to make a lot of paths with this formula and thereby having a lot of possible scenarios and hereafter calibrating it to the market. My problem is that I can't quite figure out how to make it discrete. Can anyone help me or point to a place where i can find the solution ? Thank you
Making g2++ discrete
More specifically i am having trouble handling x(s) and y(s). For the Hull white model its pretty easy becasue there is only 1 factor. In this model x(s) is simply equal to r(s) - alpha(s). It is the equivalent for the g2++ model i am looking for but cant figure it out
Making g2++ discrete
Hmmmm...Is the lack of answer because the question is to hard or to dumb? I will gladly elaborate if the question is not understood. Hope someone will help